Orthogonal polynomial expansions to evaluate stop-loss premiums - Archive ouverte HAL
Article Dans Une Revue Journal of Computational and Applied Mathematics Année : 2020

Orthogonal polynomial expansions to evaluate stop-loss premiums

Résumé

A numerical method is proposed to evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty. The method relies on a representation of the probability density function in terms of Laguerre polynomials and the gamma density. We compare the method against a well established Laplace transform inversion technique at the end of the paper.
Fichier principal
Vignette du fichier
Goffard_Laub_SLP.pdf (816.11 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01626545 , version 1 (30-10-2017)
hal-01626545 , version 2 (14-10-2019)
hal-01626545 , version 3 (06-01-2020)

Identifiants

Citer

Pierre-Olivier Goffard, Patrick J. Laub. Orthogonal polynomial expansions to evaluate stop-loss premiums. Journal of Computational and Applied Mathematics, 2020, 370, ⟨10.1016/j.cam.2019.112648⟩. ⟨hal-01626545v3⟩
182 Consultations
569 Téléchargements

Altmetric

Partager

More